Mark, thanks a lot for the helpful reply. I have still some ongoing queries.
When I asked my question I was thinking about the rank condition for identification of an equation
of a simultaneous equation model, such as the conditions stated in Wooldridge 2002 p.218 equation
9.19 or in Greene 2003, page 393, second equation. To my understanding, a violation of these can be
asserted by looking at the structure of the model, without needing a statistical test. Am I mistaken
here?

Wooldridge 2002, Example 9.3 (p. 219) states a three-equation model which meets the order condition
but not the rank condition of identification. I replicated the model structure with variables I have
available in a data set and estimated it:

Although the model should not be identified due to failure of the rank condition (see Wooldridge
2002 p. 220 eq. 9.24), Stata estimated the model parameters. Did I overlook something? Does it imply
that Stata checks the order condition of identification, but not the rank condition?

To me it seems that the rank condition in Wooldridge 2002 p.218 equation 9.19 is only dependent on
the structure of the model (coefficients and restrictions), and not on the actual data. Whereas the
condition mentioned by Mark "E(Z'X) has full rank" seems to me dependent on the data. Therefore I
lack understanding on whether these different rank conditions mean similar things, or how they are
connected.

Thanks for any suggestions.
Thomas

-------- Mark Schaffer wrote:
Thomas,
> I am wondering how Stata would react if I trid to estimate an
> unidentified equation of a simultaneous equations model.
>
> I tried it out, and got "Equation is not identified -- does
> not meet order conditions".
>
> Do -2sls-, -3sls- and -ivreg- also test the rank condition?
> (In case the order condition is met, but not the rank
> condition.) In any case, I imagine I wouldn't get any
> estimation results if the model is not identified. So, at
> least implicitly the rank condition must be checked.

The rank condition is not deterministic, like the order condition. It's
formulated in terms of expectations - E(Z'X) has full rank - and whereas
the number of columns is observable (order condition), the true value of
this expectation is not. Instead, you formulate a null hypothesis and
see if the data reject at some p value. The null is that the sample
counterpart to the expectation - 1/n Z'X - is rank-deficient (has
rank=#columns minus 1), and if you can reject the null, you conclude the
rank condition is satisfied with some probability p.

The rank condition is not automatically checked by -ivreg- (Stata 9.2
and earlier). -estat firststage- after -ivregress- (Stata 10) will
report identification statistics, but these are valid only for the
i.i.d. case and not if you are using some sort of robust vcv. -ivreg2-
reports identification tests based on Anderson's canonical correlation
statistic (F form = Cragg-Donald statistic) in the i.i.d. case, and the
Kleibergen-Paap rk statistic for robust case.

-ivreg2- calls -ranktest- to do this, but you can use -ranktest- to do
the test by hand if, e.g., you are doing a 3sls estimation. -help
ranktest- is perhaps worth reading - the examples show the equivalence
between tests of the rank condition and various regression formulations.